Fear of being wrong is one of the main factors that prevents people from being even halfway decent allies, they're just so overwhelmed with the fact that they may be called out for not being perfect that they don't even bother to help their fellow humans. I will freely admit that being an ally - to any group - is tough because it forces you to examine your own privilege. You are an Ally because you are a member of the privileged class who has decided to stand up for the marginalized. That means that you benefit from privilege. Even if you are a member of one marginalized group, no person exists in a vacuum. I'm an asexual, disabled woman and yeah the last part is hard for me to admit, but I'm also white and from an affluent family which makes me pretty damn privileged despite the non-hetero, disabled portion of my existence. I benefit from "benevolent sexism" all the damn time because of my whiteness and cisgendered-ness. Just because benevolent sexism is also sexist behavior, that doesn't mean I don't benefit from it.
So, I'm an ally to people of color, to the rest of the LGBTQ+ community, to people with less wealth than me, but I'm also an ally to other women, to other aces, to other disabled persons. Being a member of a marginalized group does not mean you get to speak for everyone else in that group. As a woman, as an asexual person, as a disabled person, it is my responsibility to speak up about the discrimination I feel and see, but it is also my responsibility to listen to my fellow women (and that includes trans women), aces, disabled persons and help give strength to their voices. Which is what an ally does.
That doesn't mean all women are good allies to the LGBTQ+ community, or that all feminists are good allies to people of color. Women aren't always good feminists, because being a part of a marginalized group doesn't mean you are automatically an ally of that group. Allyship is hard. There is no manual that gets handed out, and its a process of trial and error. As an ally, you will screw up. Everyone screws up, its kind of inevitable. The key is to not let your personal embarrassment and shame get in the way of being an ally.
Perhaps the most important thing to not about being an ally is that you voice is not the important one.
This is probably the hardest lesson for an ally to learn, because we all approach problems from our own perspective. However, as an ally, it isn't your perspective that matters. As a male feminist ally, your opinion on street harassment has no bearing because you don't have the experience to make any kind of thoughtful comment. Anything you say will end up reeking of defensiveness because you are reacting as a man and not as a feminist ally. As a white ally to people of color, your voice as a white person is pretty moot when it comes to race issues as they do not negatively impact you.
That doesn't mean allies are voiceless. The job of an ally is to help boost the opinions of the oppressed group from your position of privilege, to support the group you are an ally of, and to call out prejudice when you see it. So, as a white ally to people of color, my job is to support people of color, to help their voices reach new ears, and to call out racism when I see other people perpetuating that kind of hate.
That can be as simple as just sharing blog posts from other activists, or by going out to Black Lives Matter protests and helping to physically show support.
There are some simple "dos and donts" of allyship, for people who need that kind of thing explicitly outlined. Being an ally means that you don't say "...but not all white people" because you recognize that the conversation is not about you personally, but about the racists within the white community. Being an ally means that you don't question the opinions and realities of people within the groups you are an ally to. You don't ask for proof when a woman says she was raped by a man, because you know that false accusations are unfairly reported and make up less than 2% of all rape accusations according to the very loose FBI standards for a "false" rape accusation. Being an ally means you aren't speaking FOR the oppressed group, you're helping spread awareness of the issues as THEY see them. Being an ally means calling out sexism, racism, transphobia, homophobia, and ableism when you see it. It also means calling out the system of financial inequality, the school to prison pipeline, the mass incarceration of people of color, trans erasure in pop culture, the erasure of black women in conventional "white" feminism, and the "edginess" of using a wheelchair as a metaphor for being limited by your own fame.
Being an ally should not be easy. Its a continuous process that requires a lot of self-examination and self-awareness. Being an ally forces us to confront our own privilege and none of us like to do that, but that's the point.